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研究生:曾國誠
研究生(外文):Kuo-Cheng Tseng
論文名稱:融資融券對外資及散戶處分效果之研究
論文名稱(外文):The influence of Marginal Transactions on the Disposition Effect of Individual Investors and Foreign Investors
指導教授:蔡錦堂蔡錦堂引用關係
指導教授(外文):Jiintarng Tsay
學位類別:碩士
校院名稱:國立臺北商業技術學院
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:49
中文關鍵詞:處分效果行為財務融資融劵劵資比
外文關鍵詞:Disposition effectBehavior financeMargin transactionsShort-to-long ratio
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本文主要目的是要檢驗融資融劵對於外資及散戶處分效果之影響,利用Weber and Camerer(1998)之研究方法,從資料庫取得2004年1月2日至2005年12月30日,外資和散戶投資於台灣證劵集中所有上市中的普通股,透過計算處分係數,及顯著性檢定來判定散戶和外資在整體市場是否存在處分效果,以及在外資持股比例多或少的情況下,融資融劵等各種市場異常現象的存在,是否存在處分效果,且是否影響其投資決策與行為,實證結果如下:

一、整體市場和外資持股比率高低的股票裡未有證據顯示外資處分效果,散戶皆具有處分效果。

二、外資持股比率高,散戶處分效果不會受融資(融劵)使用率影響;外資持股比率低,融資(融劵)使用率較高時,散戶處分效果較強烈。

三、外資持股比率高,劵資比低,處分效果較劵資比高要強烈;外資持股比率低,劵資比高,散戶處分效果比劵資比強烈。

The purpose of this study is to examine the impact of marginal transactions on the disposition effect of individual investors and foreign investors. According to the period of investigation on all of the common stock invested by individual investors and foreign investors in Taiwan stock market from January 2,2004 to December 30,2005, this study applies significance test to determine whether there is the disposition effect of individual investors and foreign investors by measuring the coefficient of disposition based on the method of Weber and Camerer(1998). When the abnormal of marginal transactions exist under foreign institutional investors with high or low percentage of shares holding, we also discuss that whether there is the disposition effect and the existence of abnormal of marginal transactions have impact on the decision and behavior or not. The empirical results are as follows:

(1)In Taiwan stock market, this study divides the data into high and low percentage of shares held by foreign institutional investors. It shows that foreign institional investors have no disposition effect, bur Individual Investors have disposition effect.

(2)As the percentage of shares held by foreign institutional investors is high, the disposition effect can not be affected by margin buying ratio(short selling ratio). On the contrary, the disposition effect is influenced significantly by low percentage of shares held by foreign institutional investors and high percentage of margin buying ratio(short selling ratio).

(3)When the percentage of shares held by foreign institutional investors is high, the low percentage of short-to-long ratio with higher disposition effect than the high percentage of short-to-long ratio. On the contrary, as the percentage of shares held by foreign institutional investors is low, the high percentage of short-to-long ratio with higher disposition effect than the low percentage of short-to-long ratio.
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